I had a lot of trouble with this when my sister got a Lumia after having an iPhone. Hopefully after following the above advice it works out for you, but if it's anything like I experienced, you may still have some people who still can't contact you properly through SMS. After I got my sister to follow the steps already mentioned, some of her friends could contact her and some couldn't, as they kept wanting to send iMessages all the time. Sometimes getting them to switch their iPhones off and back on again will make them see that you no longer have an iPhone. With some though, you may need to get them to remove you as a contact on their phone, and then add you again. It really can be a pain to sort out sometimes. Many other people have had the same issues.
Apple have had such a long time to fix this problem, but it appears they still haven't got around to doing much about it.